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A note on Shiu--Fisher--Weil immunization theorem


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  • Montrucchio, Luigi
  • Peccati, Lorenzo


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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 10 (1991)
Issue (Month): 2 (July)
Pages: 125-131

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Handle: RePEc:eee:insuma:v:10:y:1991:i:2:p:125-131

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Cited by:
  1. Alejandro Balbas & Esperanza H. Montagut & Maria Jose Perez Fructuoso, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb043312, Universidad Carlos III, Departamento de Economía de la Empresa.
  2. Gajek, Leslaw, 2005. "Axiom of solvency and portfolio immunization under random interest rates," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 36(3), pages 317-328, June.
  3. Armerin, Frederik & Björk, Tomas & Jensen, Bjarne Astrup, 2005. "Term Structure Models with Parallel and Proportional Shifts," Working Papers, Copenhagen Business School, Department of Finance 2005-5, Copenhagen Business School, Department of Finance.
  4. Luigi Montrucchio & Luisa Tibiletti, 1993. "Risk aversion in the small and Jensen inequalities," Decisions in Economics and Finance, Springer, Springer, vol. 16(2), pages 21-37, September.
  5. Barber, Joel R. & Copper, Mark L., 1998. "A minimax risk strategy for portfolio immunization," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 23(2), pages 173-177, November.
  6. Ghezzi, Luca Luigi, 1999. "A maxmin policy for bond management," European Journal of Operational Research, Elsevier, Elsevier, vol. 114(2), pages 389-394, April.
  7. Hurlimann, Werner, 2002. "On immunization, stop-loss order and the maximum Shiu measure," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 31(3), pages 315-325, December.


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